Counting Trades on the Inside Market

Discussion in 'Trading Software' started by patrickrooney, Mar 24, 2020.

  1. This is sample logic for counting transactions that occur at the inside market. This is an idea on how to go about that process. Please share any alternative ideas.

    Trades are brought in through the TimeAndSales block then routed through the MsgInfoExtractor block and sent down two different paths with Branch blocks determining if the trades were aggressive buys, TradeIsTake, and aggressive sells, TradeIsHit.

    From there the trades are routed into Sequence blocks so they may be be pulled into ValueExtractor blocks were ADL determines if the the market has traded at a new bid or ask level. As long as trades occur at the same bid or ask price, those trades are added up in ValueAccumulator blocks.

    Can anyone suggest a more efficient process for accomplishing this task? Please share your thoughts.

    https://community.tradingtechnologies.com/idea/5890/counting-trades-on-the-inside-market.html

    Here's a like to a YouTube video where I explain what's going on with this logic.
    https://youtu.be/Mr4nJy-s238 countinsidetrades.png
     
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